The DNG converter is a free standalone program available from Adobe that is run separately and independently to create DNG copies of your raw files. These DNG files contain all the raw image data that were in the original file, just in a different file container. Here is a short video demonstrating how to use the DNG converter:

Once you have converted the images to DNG, they will be in a folder on your computer and you will import them into Lightroom 4 just like you would any other image and treat them just like you would any other raw file. You will edit them just like you would any other raw file and export them just like you would any other raw file.

In the video, she sets the destination for the DNG files to be the same folder as the original raw files. Personally, I think it's a better idea to set a separate folder for the DNG files only. It's possible to use the DNG converter as your download software. Doing this you can set the folder on the card as the source folder, and set a folder on your hard drive as the destination folder. Then after the conversion takes place all you have to do is open Lightroom and find that folder on your hard drive and use the Add option in the import dialog to import it into your Lightroom catalog.

One other little hint to remember. When using the DNG converter, it prompts for a FOLDER containing raw files. Browse and locate a FOLDER, but don't open the folder. If you open the folder then the converter will give you a message saying that it didn't find any files to convert. This is a common mistake that new users of the DNG converter often make.

If you are shooting raw and using LR 4 then yes you need the DNG converter to allow you to process the raw files.

The optimum choice would have been to upgrade to LR 6 / Lr CC 2015 then you do not necessarily have to use the DNG Converter and you will have the most up to date Application from Adobe to process the raw files.